What Will I Learn
At the end of this course you will:
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Curriculum
- Introduction to algorithmic trading (AT)
- Building blocks of the algorithms
- What, why, how, where off AT
- Introduction to agency and prop side algorithms
- Agency algo: VWAP, TWAP, Inline, Aggressive, Passive
- Prop algo: Pairs, Trend following, High frequency etc.
- Introduction to DMA, DSA, dark-pool, flash trading
- Mathematical elements of AT (std, correl analysis)
- Spread, volume curve and volatility introduction
- Mean reversion and momentum introduction
- Hands on training on designing a VWAP algorithm on Excel
- Hands on training on designing an automated pair-trading algorithm on Excel
- Lifecycle in development of AT
- Hands on in back-testing and Monte Carlo simulation
- Alpha generation: hands on using regression in Excel
- Stress-test and simulated trading
- Algorithm deployment and execution: CTCL, DMA, FIX etc.
- Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker
- Testing methods and live trading consideration
- Introduction to risks in AT
- Risk management in design and when live
- Why quants fail (E.g.: LTCM)? Is it a new age nuclear race?
- Examples from 1987, 2001 to recent US intra-day crash
- Speed, co-location, latency, precision and scalability
- Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker
- Testing methods and live trading consideration
- Trading costs: spreads, brokerage, turnover charges
- Roles: trader, quant, IT, risk manager, compliance
- Jargons in AT and what it means to a layman
- History of AT
- Automated scalping
- Transaction cost reduction: VWAP, TWAP, Sniper, Slicers
- Index arbitrage and Program trading, Options Trading
- Dark pool strategies
- Market making (sell-side) vs. liquidity extraction (buy-side)
- High frequency / Ultra high frequency: low latency trading
- Trend following, pair trading, delta neutral strategies, arbitrage
- Business aspect of AT
- Launch of AT, target markets, client-driven or product-driven?
- Cost of development and deployment: OMS, systems, data, team
- Integration with internal systems: OMS, compliance, back-office
- Vendors and 3rd party: data, development, launch, maintenance
- Revenue models on Agency: brokerage, guaranteed VWAP orders, slippage control, DMA/DSA
- Revenue models on prop side
- Competitive factors: slippage, execution, diversified algo
- Maintenance and improvisation: factors and costing
- Global trends in AT
- What GS, MS, JPM, CS, DB, UBS etc. are doing?
- Role of AT across multiple exchanges: E.g.: Flash Trading, SOR
- Business strategies for sustainable growth and profitability globally: new markets, better algo, new products
- Major trends across US, Europe and Asia-Pac
- Government and regulatory structures globally
- Volume generated globally using AT vs conventional trading
- Exchanges, competition and a rush to attract AT volume
- Where India stands in AT
- Current regulatory approvals and exchange initiatives in India
- Taxation, transaction cost in India: set-back to AT?
- Current trends in India market: agency side, prop side
- Current state of AT: Institutions (large orders) and arbitrage
- Is AT possible and profitable at retail client level: If yes how?
- Indian exchange challenges: cancellation, consumption of bandwidth, mad-liquidity rush, critical network issues
- Growth projections in volume, market share and turnover using AT in next 3-5 years – India and globally
How It works
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Live Classroom Sessions Each session is interactive and informative, featuring case studies, quizzes and projects |
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Interact, Learn and Grow bsevarsity.com enables you to master the concepts, interact with expert faculty and other learners and be a part of the community whilst growing. |
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